As discussed in the main text, in a practical application one is constrained
by the fixed length \(T\)  of the time-series, and the choice of \(\tau _{b}\) 
and \(N_{b}\)  has to be considered carefully. The convergence of the
estimators has been studied by [1]}. In the case
of unbounded variables, obtaining a correct estimate is limited by
two problems: 1) the artificial linearization of the tails of the
functions due to the finite size of the sample and 2) the non-uniform
convergence for different values of \(k\) .
